Output Gap in Russian Economy: Estimate Based on the IMF’s Multivariate Filter

Разрыв выпуска в российской экономике: оценка на основе многомерного фильтра МВФ

Artur R. Sharafutdinov
Additional contact information
Artur R. Sharafutdinov: Russian Presidential Academy of National Economy and Public Administration; Monetary Policy Department, Bank of Russia

Russian Economic Development, 2023, issue 4, 15-23

Abstract: The article estimates the quarterly dynamics of the output gap using a simple multivariate filter based on data on GDP, inflation and unemployment in accordance with the work of the IMF, taking into account the Phillips curve describing the impact of the output gap on the inflation process, and Okun’s law describing the relationship between the unemployment gap and output gap. The resulting estimate for the first three quarters of 2022 turned out to be 2 p.p. higher than the similar indicator estimated using the univariate statistical Hodrick–Prescott filter, and amounted to -0.4% in Q3 2022, partly due to the negative unemployment gap, -1.1% in Q3 2022, which is a feature of the current restructuring in contrast to the crises of 2008–2009, 2015 and 2020. The article was prepared within the framework of the scholarship program for graduate students and the implementation of the research work of the state task of RANEPA.

Keywords: output gap; unemployment gap; multivariate filter; Okun’s law; Phillips curve; conjuncture (search for similar items in EconPapers)
JEL-codes: C13 C32 C51 E32 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.iep.ru/files/RePEc/gai/recdev/r2327.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gai:recdev:r2327

Access Statistics for this article

Russian Economic Development is currently edited by Alexei Vedev

More articles in Russian Economic Development from Gaidar Institute for Economic Policy Contact information at EDIRC.
Bibliographic data for series maintained by Olga Beloborodova ( this e-mail address is bad, please contact ).